Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 3 | 3 | 2 |
| Score | -1.51 | -0.53 | -1.41 |
| Market Cap (Millions USD) | 2709.57 | 2704.39 | 2693.58 |
| Predicted Beta | 0.2 | 0.19 | 0.19 |
| Idiosyncratic Volatility | 1.17 | 1.19 | 1.69 |
Annualized return and volatility
| EWC | |
|---|---|
| Annualized Return | 0.0603 |
| Annualized Std Dev | 0.2219 |
| Annualized Sharpe (Rf=0%) | 0.2715 |
Row
Daily Return Statistics
| EWC | |
|---|---|
| Observations | 5111.0000 |
| NAs | 2.0000 |
| Minimum | -0.1101 |
| Quartile 1 | -0.0061 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0071 |
| Maximum | 0.1236 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0140 |
| Skewness | -0.2717 |
| Kurtosis | 6.2508 |
Downside Risk
| EWC | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0108 |
| Downside Deviation (MAR=210%) | 0.0148 |
| Downside Deviation (Rf=0%) | 0.0100 |
| Downside Deviation (0%) | 0.0100 |
| Maximum Drawdown | 0.6075 |
| Historical VaR (95%) | -0.0216 |
| Historical ES (95%) | -0.0337 |
| Modified VaR (95%) | -0.0220 |
| Modified ES (95%) | -0.0393 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-07 | 2009-03-09 | 2011-04-05 | -0.6075 | 874 | 344 | 530 |
| 2000-09-06 | 2002-10-09 | 2004-11-03 | -0.5173 | 1065 | 533 | 532 |
| 2014-09-04 | 2016-01-20 | 2019-11-15 | -0.4137 | 1332 | 354 | 978 |
| 2011-04-11 | 2011-10-04 | 2014-06-23 | -0.2848 | 820 | 125 | 695 |
| 2007-07-20 | 2007-08-16 | 2007-09-25 | -0.1451 | 48 | 20 | 28 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWC | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 0.4 | 0.7 | 0.0 | 0.7 | 3.1 | 0.0 | -2.4 | 1.5 | 0.0 | -0.4 | 1.9 | 0 | 5.4 |
| 2001 | 0.3 | -0.6 | 0.0 | 0.4 | 0.4 | 0.0 | 0.5 | 0.0 | -0.5 | 2.4 | 0.0 | 0 | 2.9 |
| 2002 | 0.5 | 0.0 | -0.5 | -0.1 | 0.0 | 0.6 | 1.0 | 0.0 | 3.5 | 0.8 | 0.0 | 0 | 5.7 |
| 2003 | 0.0 | 0.0 | 0.7 | -0.5 | 0.0 | -1.8 | 0.6 | 0.0 | 1.0 | 0.0 | 0.2 | 0 | 0.2 |
| 2004 | 0.0 | 0.9 | 1.4 | 0.0 | 0.4 | 0.1 | 0.0 | 1.5 | 1.2 | -0.4 | 0.3 | 0 | 5.5 |
| 2005 | 1.0 | -0.4 | -0.4 | 0.0 | 0.8 | -0.7 | 0.8 | 1.7 | 0.0 | 0.4 | 1.9 | 0 | 5.0 |
| 2006 | -0.2 | 1.1 | 0.0 | 0.4 | 0.0 | 0.0 | 0.5 | 0.9 | 0.0 | -2.9 | 0.0 | 0 | -0.2 |
| 2007 | 0.7 | -0.9 | 0.0 | -0.9 | 1.2 | 0.0 | -0.9 | 0.0 | 1.3 | -2.6 | 0.0 | 0 | -2.2 |
| 2008 | 2.1 | 0.0 | 1.2 | -0.3 | 0.0 | 0.2 | -1.8 | 0.0 | -0.7 | 0.0 | -4.5 | 0 | -3.8 |
| 2009 | 0.0 | 0.0 | 3.2 | 3.3 | 1.7 | 1.4 | 0.0 | -2.6 | -4.2 | 0.0 | 3.2 | 0 | 6.0 |
| 2010 | 1.9 | 2.0 | 1.8 | 0.0 | -1.2 | -1.0 | 0.0 | 2.1 | 1.1 | 0.4 | 2.4 | 0 | 9.8 |
| 2011 | 2.0 | -0.6 | 1.0 | 0.0 | -2.8 | 0.7 | 0.2 | -0.1 | 0.0 | -3.3 | -0.2 | 0 | -3.2 |
| 2012 | 0.9 | 1.0 | 0.0 | 0.6 | -1.9 | 0.0 | -0.5 | 0.0 | 0.7 | 0.7 | 0.0 | 0 | 1.6 |
| 2013 | 0.7 | 0.3 | -0.4 | -0.9 | 0.0 | 0.3 | 0.3 | 0.0 | 0.4 | -0.3 | 0.0 | 0 | 0.4 |
| 2014 | 0.0 | 0.0 | 0.5 | -0.2 | 0.0 | 0.5 | -1.0 | 0.0 | -0.8 | 0.0 | -0.3 | 0 | -1.2 |
| 2015 | 0.0 | 0.0 | 0.4 | 0.1 | -0.3 | -0.4 | 0.0 | -3.2 | 0.0 | 0.0 | 1.4 | 0 | -2.0 |
| 2016 | -0.5 | 2.2 | -0.4 | 0.0 | 0.2 | 1.3 | -1.2 | 0.7 | 0.0 | 0.1 | 0.4 | 0 | 2.8 |
| 2017 | -0.3 | 0.7 | 0.0 | -0.2 | 0.7 | 0.0 | -0.3 | 0.9 | 0.0 | 0.3 | 1.5 | 0 | 3.5 |
| 2018 | -0.3 | -0.6 | 0.0 | 0.0 | -0.1 | 0.0 | -0.3 | 0.0 | 1.2 | 1.1 | 0.0 | 0 | 0.8 |
| 2019 | 0.3 | -0.5 | 1.3 | -0.7 | 0.0 | 0.2 | -0.5 | 0.0 | -1.3 | 0.9 | 0.0 | 0 | -0.3 |
Row
Rolling Performance Chart
Snail Trail Chart
